high liquidity set
date code
2006-01-31 000001.XSHE 1
000002.XSHE 1
000004.XSHE 0
000005.XSHE 0
000006.XSHE 0
Name: amount3M, dtype: int32
start_date:2006-01-01 / end_date:2022-12-31
| skew | adjskew | distance | mom6x3 | mom9x3 | mom12x3 | mom1M | mom2M | mom3M | mom6M | turnover3M | amount3M | stddev_diff | stddev | ep | circulating_market_cap | comb_mom12x3_to3M | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0208 | -0.0232 | 0.0043 | -0.0046 | -0.0017 | -0.0000 | -0.0469 | -0.0503 | -0.0457 | -0.0384 | -0.0430 | -0.0421 | -0.0069 | -0.0397 | 0.0100 | -0.0182 | 0.0327 |
| ic.t-stats | -4.6902 | -5.5927 | 0.4000 | -0.6455 | -0.2177 | -0.0039 | -5.7243 | -5.3496 | -4.7678 | -3.9573 | -4.3850 | -5.2076 | -1.3862 | -3.5242 | 1.4971 | -2.1585 | 3.7827 |
| AnnRet_Long | -0.0563 | -0.0635 | 0.0194 | -0.0484 | -0.0347 | -0.0063 | -0.1594 | -0.1587 | -0.1545 | -0.1407 | -0.1393 | -0.1373 | -0.0624 | -0.1483 | 0.0282 | -0.0949 | 0.0380 |
| AnnRet_short | 0.0092 | 0.0284 | 0.0338 | -0.0049 | -0.0412 | -0.0228 | 0.0362 | 0.0916 | 0.0986 | 0.0874 | 0.1018 | 0.1787 | -0.0490 | 0.0845 | 0.0152 | 0.1880 | -0.1401 |
| AnnRet | -0.0655 | -0.0919 | -0.0144 | -0.0435 | 0.0066 | 0.0165 | -0.1956 | -0.2503 | -0.2531 | -0.2280 | -0.2411 | -0.3161 | -0.0134 | -0.2328 | 0.0130 | -0.2829 | 0.1781 |
| SR_Long | -0.9702 | -1.2841 | 0.1556 | -0.4726 | -0.3128 | -0.0523 | -1.4038 | -1.2294 | -1.1370 | -1.0549 | -1.2448 | -1.0432 | -0.8368 | -1.3053 | 0.2000 | -0.6079 | 0.2935 |
| SR_Short | 0.1681 | 0.5336 | 0.2204 | -0.0508 | -0.4735 | -0.2415 | 0.3551 | 0.7746 | 0.7834 | 0.6943 | 0.5594 | 1.1502 | -0.7271 | 0.4533 | 0.1488 | 1.5089 | -1.3748 |
| SR | -0.6969 | -1.0640 | -0.0571 | -0.2580 | 0.0378 | 0.0874 | -1.0598 | -1.1517 | -1.1040 | -0.9725 | -0.9043 | -1.3596 | -0.1174 | -0.8887 | 0.0713 | -1.1362 | 0.8916 |
| TO_Long | 0.8818 | 0.8864 | 0.3014 | 0.5186 | 0.3729 | 0.3168 | 0.8677 | 0.6283 | 0.5174 | 0.3719 | 0.2486 | 0.1672 | 0.9529 | 0.7038 | 0.1153 | 0.0560 | 0.3129 |
| TO_Short | 0.8804 | 0.8819 | 0.5052 | 0.5962 | 0.4513 | 0.3740 | 0.8966 | 0.7005 | 0.5968 | 0.4524 | 0.1830 | 0.2377 | 0.9505 | 0.4906 | 0.0880 | 0.1121 | 0.3266 |
start_date:2006-01-01 / end_date:2022-12-31
| skew_GN | adjskew_GN | distance_GN | mom6x3_GN | mom9x3_GN | mom12x3_GN | mom1M_GN | mom2M_GN | mom3M_GN | mom6M_GN | turnover3M_GN | amount3M_GN | stddev_diff_GN | stddev_GN | ep_GN | circulating_market_cap_GN | comb_mom12x3_to3M_GN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0203 | -0.0231 | 0.0112 | -0.0057 | -0.0052 | -0.0051 | -0.0545 | -0.0558 | -0.0515 | -0.0432 | -0.0451 | -0.0415 | -0.0079 | -0.0418 | 0.0039 | -0.0171 | 0.0301 |
| ic.t-stats | -5.1114 | -6.3052 | 1.1388 | -1.0240 | -0.7974 | -0.7307 | -7.6446 | -6.8229 | -6.0598 | -5.1493 | -5.3204 | -5.9565 | -1.8758 | -4.0589 | 0.6674 | -2.3281 | 3.9020 |
| AnnRet_Long | -0.0495 | -0.0601 | 0.0504 | -0.0379 | -0.0309 | -0.0084 | -0.1693 | -0.1633 | -0.1585 | -0.1353 | -0.1399 | -0.1393 | -0.0649 | -0.1476 | 0.0426 | -0.0890 | 0.0345 |
| AnnRet_short | 0.0136 | 0.0315 | 0.0225 | 0.0180 | 0.0052 | 0.0143 | 0.0780 | 0.1405 | 0.1438 | 0.1309 | 0.1229 | 0.1188 | -0.0363 | 0.1097 | 0.0386 | 0.0578 | -0.1192 |
| AnnRet | -0.0631 | -0.0916 | 0.0279 | -0.0560 | -0.0362 | -0.0226 | -0.2472 | -0.3038 | -0.3023 | -0.2662 | -0.2628 | -0.2582 | -0.0285 | -0.2574 | 0.0039 | -0.1468 | 0.1537 |
| SR_Long | -0.8169 | -1.1268 | 0.4430 | -0.4208 | -0.3119 | -0.0756 | -1.6278 | -1.3999 | -1.2910 | -1.1165 | -1.3440 | -1.1377 | -0.9727 | -1.4929 | 0.3626 | -0.6089 | 0.2843 |
| SR_Short | 0.2761 | 0.6295 | 0.1564 | 0.2159 | 0.0745 | 0.1848 | 0.8733 | 1.3025 | 1.2846 | 1.1981 | 0.8092 | 1.2951 | -0.6136 | 0.6368 | 0.3915 | 0.7981 | -1.2695 |
| SR | -0.7127 | -1.0908 | 0.1188 | -0.4099 | -0.2611 | -0.1426 | -1.5167 | -1.5907 | -1.4874 | -1.3017 | -1.1678 | -1.5614 | -0.2827 | -1.0713 | 0.0250 | -0.8517 | 0.8513 |
| TO_Long | 0.8806 | 0.8860 | 0.3160 | 0.5222 | 0.3766 | 0.3175 | 0.8693 | 0.6303 | 0.5218 | 0.3761 | 0.2516 | 0.1737 | 0.9529 | 0.7075 | 0.1340 | 0.0578 | 0.3107 |
| TO_Short | 0.8787 | 0.8824 | 0.4811 | 0.5879 | 0.4452 | 0.3711 | 0.8909 | 0.6951 | 0.5883 | 0.4453 | 0.2231 | 0.2035 | 0.9494 | 0.5393 | 0.0955 | 0.0825 | 0.3265 |
start_date:2005-01-01 / end_date:2022-12-31
| skew_GN | adjskew_GN | distance_GN | mom6x3_GN | mom9x3_GN | mom12x3_GN | mom1M_GN | mom2M_GN | mom3M_GN | mom6M_GN | turnover3M_GN | amount3M_GN | stddev_diff_GN | stddev_GN | ep_GN | circulating_market_cap_GN | comb_mom12x3_to3M_GN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0181 | -0.0101 | 0.0019 | 0.0080 | 0.0125 | 0.0142 | -0.0487 | -0.0484 | -0.0406 | -0.0260 | -0.0485 | -0.0233 | 0.0051 | -0.0288 | 0.0319 | 0.0089 | 0.0470 |
| ic.t-stats | -3.9175 | -2.2482 | 0.1748 | 1.0404 | 1.5112 | 1.6582 | -5.7563 | -5.2711 | -4.4575 | -2.7295 | -4.5033 | -3.4015 | 0.9172 | -2.7965 | 3.8604 | 0.8696 | 4.9223 |
| AnnRet_Long | -0.0659 | -0.0279 | 0.0015 | 0.0077 | 0.0237 | 0.0236 | -0.1352 | -0.1183 | -0.1095 | -0.0919 | -0.1520 | -0.0645 | -0.0446 | -0.1362 | 0.0591 | 0.0092 | 0.0840 |
| AnnRet_short | 0.0193 | 0.0093 | -0.0122 | -0.0351 | -0.0621 | -0.0519 | 0.0509 | 0.0939 | 0.0758 | 0.0102 | 0.0554 | 0.0145 | -0.0700 | -0.0005 | -0.0879 | -0.0447 | -0.1386 |
| AnnRet | -0.0852 | -0.0372 | 0.0137 | 0.0428 | 0.0858 | 0.0755 | -0.1861 | -0.2122 | -0.1853 | -0.1021 | -0.2073 | -0.0789 | 0.0254 | -0.1357 | 0.1470 | 0.0539 | 0.2226 |
| SR_Long | -0.9780 | -0.4664 | 0.0110 | 0.0706 | 0.2071 | 0.2035 | -1.1509 | -0.9866 | -0.9011 | -0.7065 | -1.1593 | -0.5523 | -0.5603 | -1.1362 | 0.4269 | 0.0557 | 0.6847 |
| SR_Short | 0.2956 | 0.1474 | -0.1106 | -0.4034 | -0.7102 | -0.6370 | 0.4975 | 0.8723 | 0.6836 | 0.1001 | 0.4635 | 0.2045 | -0.8632 | -0.0048 | -0.9326 | -0.5569 | -1.1501 |
| SR | -0.8751 | -0.3556 | 0.0613 | 0.2783 | 0.5179 | 0.4473 | -1.0057 | -1.1125 | -0.9495 | -0.5123 | -0.9280 | -0.5758 | 0.1997 | -0.6697 | 0.8401 | 0.2649 | 1.1069 |
| TO_Long | 0.8969 | 0.9002 | 0.3979 | 0.5618 | 0.4320 | 0.3785 | 0.8902 | 0.7189 | 0.5947 | 0.4370 | 0.3384 | 0.1968 | 0.9713 | 0.7384 | 0.2094 | 0.0753 | 0.3755 |
| TO_Short | 0.8994 | 0.9030 | 0.5967 | 0.6407 | 0.5259 | 0.4694 | 0.9130 | 0.7552 | 0.6396 | 0.4891 | 0.2553 | 0.4404 | 0.9615 | 0.6548 | 0.2683 | 0.2826 | 0.4314 |
收益曲线和表格指标,均是针对超额收益,benchmark用的是equal weighted